Optimal stopping times for solutions of nonlinear stochastic differential equations and their applications to a problem of financial mathematics

zbMATH Open0978.60064MaRDI QIDQ2739631

Ya. O. Ol'tsik, Yuliya S. Mishura

Publication date: 13 September 2001

Published in: Ukraïns'kyĭ Matematychnyĭ Zhurnal (Search for Journal in Brave)

zbMATH Keywords

optimal stopping timenonlinear stochastic differential equationoptimal switchingfinancial marketinvestor

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (3)

Title not available (Why is that?) ⋮ Optimal Stopping Problem for Stochastic Differential Equations with Random Coefficients ⋮ Finite difference approximation for stochastic optimal stopping problems with delays

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